Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.2617
Annualized Std Dev 0.4463
Annualized Sharpe (Rf=0%) -0.5865

Row

Daily Return Statistics

Close
Observations 3002.0000
NAs 1.0000
Minimum -0.2062
Quartile 1 -0.0171
Median -0.0021
Arithmetic Mean -0.0008
Geometric Mean -0.0012
Quartile 3 0.0157
Maximum 0.2017
SE Mean 0.0005
LCL Mean (0.95) -0.0018
UCL Mean (0.95) 0.0002
Variance 0.0008
Stdev 0.0281
Skewness -0.0183
Kurtosis 4.7413

Downside Risk

Close
Semi Deviation 0.0197
Gain Deviation 0.0190
Loss Deviation 0.0188
Downside Deviation (MAR=210%) 0.0250
Downside Deviation (Rf=0%) 0.0202
Downside Deviation (0%) 0.0202
Maximum Drawdown 0.9910
Historical VaR (95%) -0.0426
Historical ES (95%) -0.0624
Modified VaR (95%) -0.0445
Modified ES (95%) -0.0686
From Trough To Depth Length To Trough Recovery
2009-06-11 2020-08-04 NA -0.9910 2965 2807 NA
2009-05-28 2009-05-29 2009-06-10 -0.1394 10 2 8
2009-05-08 2009-05-14 2009-05-21 -0.1152 10 5 5
2009-04-20 2009-04-20 2009-04-22 -0.0534 3 1 2
2009-04-27 2009-04-27 2009-04-28 -0.0203 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA 2.3 10 1.1 -6.3 0.5 -4.1 -4.8 4 2.2 3.9
2010 3 -0.3 1.1 -3.6 -2.2 -0.5 -4.7 6.8 1.5 1.1 6.4 -3.4 4.5
2011 1.5 -0.9 -1.4 -0.8 -4 0.6 -2.9 -5.9 -7.5 -9.8 1.2 -0.9 -27.4
2012 3.3 2.7 4.9 1.5 -7.1 3.9 1.4 -3.5 -1.1 1.5 0.9 5.1 13.6
2013 3.8 -1.7 -2.2 -3.2 0.9 -0.6 5.7 0.2 0.7 3.2 -0.4 1.7 7.7
2014 -1.8 -0.5 2.7 -2.9 0.2 2.5 -2.3 -0.3 -5.7 0.9 1.7 -0.7 -6.4
2015 -5.3 -2.5 -4 4.2 3.2 4.2 -2.4 -2 -1.1 -2.1 -4 -1.4 -12.9
2016 0.8 4.8 -1 -1 -1.1 -4.4 3.1 -0.3 2.4 -0.1 3 -0.8 5.1
2017 2 5.1 -1 2.6 0.1 0.7 -2.1 2.3 -0.8 -1.2 -3.9 -0.3 3.2
2018 4.2 -2.1 -1.7 1.2 1.5 1 2.3 0.7 2.2 -0.2 -1.1 -1.4 6.7
2019 1.8 2.8 4.4 -1.1 -3.8 0.6 -5.9 -0.1 -1 1.2 0.6 2.6 1.5
2020 -2.6 -7 -4.7 -2.4 2 0.6 0.2 -3.5 -1.1 3 4.7 -0.5 -11.3
2021 -0.3 4.1 -1.8 NA NA NA NA NA NA NA NA NA 1.9

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart